We introduce a simplistic Value-at-Risk attribution methodology amendment designed specifically for the scenario where the entity is reporting its risk metrics in a currency that is different to that of the underlying commodity exposures

Multinational enterprises (MNEs) operating across different currencies are exposed to exchange rate risk. They may utilize a variety of tools to mitigate that risk. While there are different types of exchange rate risk, this study focuses specifically on the transaction exposure of cash flows...

We propose a family of range based risk measures to generalize the role of Value at Risk (VaR) in the formulation of Range Value at Risk (RVaR) considering other risk measures induced by a tail level. We discuss this type of measure in detail and its theoretical properties and representations....

In Section 2 of Bernard et al. (2020), we study bounds on Range Value-at-Risk (RVaR) under the assumption of non-negative risk. However, Proposition 3 is erroneous, and hence Theorems 3, 4, and 5 and Corollary 5 are no longer valid. In this corrigendum, we provide a direct replacement of these...

This article presents some of the pros and cons of variance and CVaR as portfolio risk measures in mean-risk optimization. While variance is the original risk measure, thoroughly studied for the past 70 years, this article argues that there are practically no reasons for continuing to use...

We formulate a decision model that accommodates correlation ambiguity between the insurer’s surplus and stock return processes and study its implications for the insurer’s asset allocation rule. The ambiguity-averse insurer invests more conservatively in the stock compared to an otherwise...

Measurement uncertainty is as important as measurement in metrology and industry. The GUM and its supplements provide a widely accepted framework for evaluating measurement uncertainty; but don't provide a reasonable assessment method for some special circumstances, especially for dynamic...